When you create a page, it takes you right to it, and the URL is displayed in your browser. To add other domains you will need to add a Portal Alias in the Site Settings as well as have that domain directed to your website/host correctly.
Since you seem to be able to use DNN and its functionality, you have already created the website, even if it is a local copy. (not sure where you are doing this).
The pages don't actually get created on a hard drive. It's all database driven so the pages and related settings/modules/content/ect are stored in the database.
The minimize buttons and other parts of the modules can be modified by changing the container used of the settings of the module (which can be applied to all modules for a quick overall change).
A login link is useful for sites that you need to login to, such as the DNN demo site. This is removable via editing the skin (or taking out the token in a skin you make). It is also possible to 'hide' it by various methods.
DNN's visual look is extremely customizable; so you should be able to get any 'real website' look you are able to build or buy.